60 lines
1.6 KiB
Matlab
60 lines
1.6 KiB
Matlab
function [test, penalty] = ispd(A)
|
|
|
|
%@info:
|
|
%! @deftypefn {Function File} {[@var{test}, @var{penalty} =} ispd (@var{A})
|
|
%! @anchor{ispd}
|
|
%! @sp 1
|
|
%! Tests if the square matrix @var{A} is positive definite.
|
|
%! @sp 2
|
|
%! @strong{Inputs}
|
|
%! @sp 1
|
|
%! @table @ @var
|
|
%! @item A
|
|
%! A square matrix.
|
|
%! @end table
|
|
%! @sp 2
|
|
%! @strong{Outputs}
|
|
%! @sp 1
|
|
%! @table @ @var
|
|
%! @item test
|
|
%! Integer scalar equal to 1 if @var{A} is a positive definite sqquare matrix, 0 otherwise.
|
|
%! @item penalty
|
|
%! Absolute value of the uum of the negative eigenvalues of A. This output argument is optional.
|
|
%! @end table
|
|
%! @end deftypefn
|
|
%@eod:
|
|
|
|
% Copyright (C) 2007-2009, 2013 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
|
|
|
if ~isquare(A)
|
|
error(['ispd:: Input argument ' inputname(1) ' has to be a square matrix!'])
|
|
end
|
|
|
|
[cholA, info] = chol(A);
|
|
test = ~info;
|
|
|
|
if nargout>1
|
|
penalty = 0;
|
|
if info
|
|
a = diag(eig(A));
|
|
k = find(a<0);
|
|
if k > 0
|
|
penalty = sum(-a(k));
|
|
end
|
|
end
|
|
end |